Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0079 |
| Annualized Std Dev | 0.0824 |
| Annualized Sharpe (Rf=0%) | 0.0964 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3049.0000 |
| NAs | 1.0000 |
| Minimum | -0.0230 |
| Quartile 1 | -0.0030 |
| Median | 0.0002 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0031 |
| Maximum | 0.0267 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0002 |
| Variance | 0.0000 |
| Stdev | 0.0052 |
| Skewness | -0.0946 |
| Kurtosis | 1.7737 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0037 |
| Gain Deviation | 0.0033 |
| Loss Deviation | 0.0035 |
| Downside Deviation (MAR=210%) | 0.0097 |
| Downside Deviation (Rf=0%) | 0.0037 |
| Downside Deviation (0%) | 0.0037 |
| Maximum Drawdown | 0.2042 |
| Historical VaR (95%) | -0.0084 |
| Historical ES (95%) | -0.0118 |
| Modified VaR (95%) | -0.0084 |
| Modified ES (95%) | -0.0122 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2011-08-18 | 2015-11-10 | 2020-12-17 | -0.2042 | 2350 | 1065 | 1285 |
| 2009-12-02 | 2010-06-07 | 2011-08-15 | -0.1542 | 429 | 128 | 301 |
| 2021-01-06 | 2021-03-08 | NA | -0.0642 | 52 | 42 | NA |
| 2009-02-10 | 2009-03-04 | 2009-03-18 | -0.0471 | 24 | 16 | 8 |
| 2009-03-20 | 2009-04-20 | 2009-05-13 | -0.0442 | 34 | 19 | 15 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | -0.7 | -0.9 | 0.4 | -0.5 | -0.3 | 0.3 | 1.6 | -1.1 | -0.7 | 0 | 0.3 | -0.1 | -1.7 |
| 2010 | 0 | -0.5 | 0.5 | 0.7 | -0.6 | 1.9 | 0.1 | 0.1 | 0.5 | 0 | 0.1 | 1 | 3.8 |
| 2011 | 0.7 | -0.7 | -0.3 | 0.5 | 0.1 | -0.2 | -0.5 | -1.4 | -0.3 | -0.6 | -1 | 1.8 | -1.9 |
| 2012 | 1 | -2.1 | 0.6 | -0.1 | -0.5 | 1.7 | -0.8 | 0.5 | -0.1 | -1.6 | 0 | -0.5 | -2.1 |
| 2013 | -0.1 | 0.1 | 0.4 | 0.3 | -0.2 | 1 | -0.2 | -0.4 | 0.2 | -0.8 | 0.1 | 0 | 0.4 |
| 2014 | 0.2 | 0.3 | 0.3 | -0.2 | 0.1 | 0 | 0.2 | -0.2 | -0.2 | -0.9 | -0.2 | -0.2 | -0.9 |
| 2015 | 0.4 | 0.2 | 0.1 | -0.5 | -1.1 | -0.7 | 0.4 | 0.7 | 0.3 | 0.1 | 0.5 | -0.1 | 0.2 |
| 2016 | 0 | -0.3 | 0.5 | 0.9 | 0.5 | 0.8 | -0.5 | 0.3 | -0.2 | 0.4 | 0.1 | 0.1 | 2.8 |
| 2017 | -0.1 | -0.9 | 0.1 | -0.3 | -0.1 | -0.3 | 0 | 0 | 0.3 | -0.3 | 0.5 | 0.6 | -0.6 |
| 2018 | 0.1 | 0.6 | 0.2 | -0.6 | -0.4 | 0.8 | -0.4 | -0.4 | -0.4 | 0.6 | -0.2 | 0.2 | 0.1 |
| 2019 | -0.2 | -0.2 | -0.4 | -0.1 | 0.7 | -0.8 | 0.5 | -0.4 | 0 | 0.2 | 0.1 | 0.1 | -0.6 |
| 2020 | 0.5 | 0.8 | -0.2 | 0.2 | 0.1 | 0 | -0.6 | 0.1 | 0.3 | -0.2 | 0.2 | -0.3 | 0.8 |
| 2021 | -0.6 | 0.2 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.3 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
